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Dynamic currency linkages between select emerging market economies : an empirical study

Mittal, Arjun; Sehgal, Sanjay; Mittal, Anand - In: Cogent economics & finance 7 (2019) 1, pp. 1-31

and stood at 0.29, which rose to 0.39 in the post-crisis period implying contagion effects. Based on both ADCC results and …

Persistent link: https://www.econbiz.de/10014232595

Return and volatility spillovers in equity markets : an investigation using various GARCH methodologies

Dedi, Lidija; Yavas, Burhan F. - In: Cogent economics & finance 4 (2016) 1, pp. 1-18

This paper investigates linkages among equity market returns and volatility spillovers in the following countries: Germany, United Kingdom, China, Russia, and Turkey. MARMA, GARCH, GARCH-in-mean, and exponential GARCH (EGARCH) methodologies are applied to daily data on country exchange-traded...

Persistent link: https://www.econbiz.de/10011597965

Novel evidence from APEC countries on stock market integration and volatility spillover : a Diebold and Yilmaz approach

Kakran, Shubham; Sidhu, Arpit; Bajaj, Parminder Kaur; … - In: Cogent economics & finance 11 (2023) 2, pp. 1-23

The interconnection of stock markets offers valuable insights into the broader dynamics of global financial markets. This study uses the Diebold and Yilmaz index model to analyze and measure volatility spillovers and interconnectedness among APEC stock markets. The objective is to identify major...

Persistent link: https://www.econbiz.de/10014502815

Volatility spillovers across stock index futures in Asian markets : evidence from range volatility estimators

Yarovaya, Larisa; Brzeszczyński, Janusz; Lau, Chi Keung - In: Finance research letters 17 (2016), pp. 158-166

Persistent link: https://www.econbiz.de/10011596275

Volatility spillovers between stock and energy markets during crises : a comparative assessment between the 2008 global financial crisis and the Covid-19 pandemic crisis

Jebabli, Ikram; Kouaissah, Noureddine; Arouri, Mohamed - In: Finance research letters 46 (2022) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10013341502

The relationship between oil and financial markets in emerging economies : the significant role of Kazakhstan as the oil exporting country

Li, Haiping; Semeyutin, Artur; Lau, Chi Keung; Gozgor, Giray - In: Finance research letters 32 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012430798

Stock markets and the COVID-19 fractal contagion effects

Okorie, David Iheke; Lin, Boqiang - In: Finance research letters 38 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012490623

Effect of catastrophic disaster in financial market contagion

Siddikee, Md. Noman; Rahman, Mohammad Mafizur - In: Cogent economics & finance 5 (2017) 1, pp. 1-13

The study examined the contagion effect of financial market volatility from Australian capital market to Indian, New … residuals after the catastrophes. Finally, Fishers r to z transformation was used for identifying contagion. After Victoria … respective z > +1.96 validates contagion. The adjusted correlation coefficient of Australia with China and Japan increased after …

Persistent link: https://www.econbiz.de/10011597973

Causality-in-quantiles between crude oil and stock markets : evidence from emerging economies

Bhatia, Vaneet; Basu, Sankarshan - In: Finance research letters 40 (2021), pp. 1-7

Persistent link: https://www.econbiz.de/10012819833

The hedging effectiveness of gold against US stocks in a post-financial crisis era

Shrydeh, Najib; Shahateet, Mohammed Issa; Mohammad, Suleiman - In: Cogent economics & finance 7 (2019) 1, pp. 1-23

Purpose-The purpose of this paper is to examine the transmission mechanisms and dynamic spillover effects between gold spot prices and US equity prices following the 2007 Global Financial Crisis. It also aims at estimating hedging effectiveness between stocks and gold in major US financial...

Persistent link: https://www.econbiz.de/10014233046

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